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Dealer behavior in the specials market for US Treasury securities
16 references·3 citing·48 second hopsampled
Dealer behavior in the specials market for US Treasury securities (2007)Dealer behavior in the specials market fo…Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs (2003)Can the Market Add and Subtra…Anomalies: The Law of One Price in Financial Markets (2003)Anomalies: The Law of One Pri…When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after 9/11 (2002)When the Back Office Moved to…The market for borrowing stock (2002)The market for borrowing stockThe bond/old-bond spread (2002)The bond/old-bond spreadStocks are special too: an analysis of the equity lending market (2002)Stocks are special too: an an…Short-sale constraints and stock returns (2002)Short-sale constraints and st…Securities lending, shorting, and pricing (2002)Securities lending, shorting,…Liquidity risk and specialness (2002)Liquidity risk and specialnessAre Larger Treasury Issues More Liquid? Evidence from Bill Reopenings (2002)Are Larger Treasury Issues Mo…Financial Market Implications of the Federal Debt Paydown (2000)Financial Market Implications…Special Repo Rates: An Empirical Analysis (1997)Special Repo Rates: An Empiri…Special Repo Rates (1996)Special Repo RatesSpecial Repo Rates (1996)Special Repo RatesThe Mispricing of U.S. Treasury Bonds: A Case Study (1989)The Mispricing of U.S. Treasu…Part-Time and Full-Time Work Behaviour of Married Women: A Model with a Doubly Truncated Dependent Variable (1983)Part-Time and Full-Time Work …The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors (2014)The Scarcity Value of Treasur…The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors (2013)The Scarcity Value of Treasur…The Introduction of the TMPG Fails Charge for U.S. Treasury Securities (2010)The Introduction of the TMPG …Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Dynamic Asset Pricing Theory. (1993)A Search‐Based Theory of the On‐the‐Run Phenomenon (2008)Sizing Up Repo (2014)Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) (2023)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Auctions of Divisible Goods: On the Rationale for the Treasury Experiment (1993)Tax and Liquidity Effects in Pricing Government Bonds (1998)The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks* (2006)The Term Structure of Interbank Risk (2012)Noise Trader Risk in Financial Markets (1990)The Limits of Arbitrage (1995)DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE (2005)The Place Premium: Wage Differences for Identical Workers Across the U.S. Border (2008)Economics and Emigration: Trillion-Dollar Bills on the Sidewalk? (2011)American Economic Review (2019)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Anomalies and Market Efficiency (2002)Valuation in Over-the-Counter Markets (2007)The Cost of Transacting (1968)Continuous Auctions and Insider Trading (1985)The Relation Between Price Changes and Trading Volume: A Survey (1987)Comparing Possible Proxies of Corporate Bond Liquidity (2003)Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions (2005)Strategy and tactics in public debt management (2015)Asset pricing and the bid-ask spread (1986)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Chapter 15 Anomalies and market efficiency (2003)Limits of Arbitrage (2010)The Bargaining Problem (1950)Search-Theoretic Models of the Labor Market: A Survey (2005)Price Efficiency and Short Selling (2010)Does the Stock Market Overreact? (1985)A Consumption‐Based Explanation of Expected Stock Returns (2006)Deviations from Put-Call Parity and Stock Return Predictability (2010)Efficient Capital Markets: II (1991)DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Bad Beta, Good Beta (2004)Short interest, institutional ownership, and stock returns (2005)Which Shorts Are Informed? (2007)
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References

  • 2002The market for borrowing stock1,161 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 2002Securities lending, shorting, and pricing670 cited
  • 2003Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs660 cited
  • 2002Stocks are special too: an analysis of the equity lending market546 cited
  • 2002The bond/old-bond spread514 cited
  • 1996Special Repo Rates461 cited
  • 2003Anomalies: The Law of One Price in Financial Markets266 cited
  • 1997Special Repo Rates: An Empirical Analysis209 cited
  • 2002Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings118 cited
  • 2002Liquidity risk and specialness111 cited
  • 1989The Mispricing of U.S. Treasury Bonds: A Case Study88 cited
  • 1983Part-Time and Full-Time Work Behaviour of Married Women: A Model with a Doubly Truncated Dependent Variable82 cited
  • 1996Special Repo Rates71 cited
  • 2000Financial Market Implications of the Federal Debt Paydown58 cited
  • 2002When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after 9/11

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52 cited

Cited by

  • 2010The Introduction of the TMPG Fails Charge for U.S. Treasury Securities26 cited
  • 2014The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors12 cited
  • 2013The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors12 cited